Diagnostic Checking in a Flexible Nonlinear Time Series Model
AbstractThis paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the Smooth Transition AutoRegressive (STAR) and the AutoRegressive Artificial Artificial Neural Network (AR-ANN) models. The tests are Lagrange multiplier (LM) type tests of parameter constancy against the alternative of smoothly changing ones, of serial independence, and constant variance of the error term against the hypothesis that the variance smoothly changes between regimes. The small sample behaviour of the proposed tests is evaluated throw a Monte-Carlo study and the results show that the tests have size close to the nominal one and a good power.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 386.
Length: 24 pages
Date of creation: 06 Jun 2000
Date of revision: 15 Jan 2001
Publication status: Published in Journal of Time Series Analysis, 2003, pages 461-482.
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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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More information through EDIRC
Time series; nonlinear models; STAR models; neural networks; statistical inference; parameter constancy; serial independence; heteroscedasticity; misspecification;
Other versions of this item:
- Marcelo C. Medeiros & Alvaro Veiga, 2003. "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 461-482, 07.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-06-12 (All new papers)
- NEP-ECM-2000-06-12 (Econometrics)
- NEP-ETS-2000-06-12 (Econometric Time Series)
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